H(infinity) filtering for rectangular discrete-time descriptor systems

This paper deals with the H(infinity) recursive estimation problem for general rectangular time-variant descriptor systems in discrete time. Riccati-equation based recursions for filtered and predicted estimates are developed based on a data fitting approach and game theory. In this approach, the nature determines a state sequence seeking to maximize the estimation cost, whereas the estimator tries to find an estimate that brings the estimation cost to a minimum. A solution exists for a specified gamma-level if the resulting cost is positive. In order to present some computational alternatives to the H(infinity) filters developed, they are rewritten in information form along with the respective array algorithms. (C) 2009 Elsevier Ltd. All rights reserved.

Recursive linear estimation for general discrete-time descriptor systems

This paper considers the optimal linear estimates recursion problem for discrete-time linear systems in its more general formulation. The system is allowed to be in descriptor form, rectangular, time-variant, and with the dynamical and measurement noises correlated. We propose a new expression for the filter recursive equations which presents an interesting simple and symmetric structure. Convergence of the associated Riccati recursion and stability properties of the steady-state filter are provided. (C) 2010 Elsevier Ltd. All rights reserved.

Generation of self-similar Gaussian time series by means of the DWT and DWPT variance maps

Due to the several kinds of services that use the Internet and data networks infra-structures, the present networks are characterized by the diversity of types of traffic that have statistical properties as complex temporal correlation and non-gaussian distribution. The networks complex temporal correlation may be characterized by the Short Range Dependence (SRD) and the Long Range Dependence - (LRD). Models as the fGN (Fractional Gaussian Noise) may capture the LRD but not the SRD. This work presents two methods for traffic generation that synthesize approximate realizations of the self-similar fGN with SRD random process. The first one employs the IDWT (Inverse Discrete Wavelet Transform) and the second the IDWPT (Inverse Discrete Wavelet Packet Transform). It has been developed the variance map concept that allows to associate the LRD and SRD behaviors directly to the wavelet transform coefficients. The developed methods are extremely flexible and allow the generation of Gaussian time series with complex statistical behaviors.

Sampled Control for Mean-Variance Hedging in a Jump Diffusion Financial Market

In this technical note we consider the mean-variance hedging problem of a jump diffusion continuous state space financial model with the re-balancing strategies for the hedging portfolio taken at discrete times, a situation that more closely reflects real market conditions. A direct expression based on some change of measures, not depending on any recursions, is derived for the optimal hedging strategy as well as for the ""fair hedging price"" considering any given payoff. For the case of a European call option these expressions can be evaluated in a closed form.

On the Filtering Problem for Continuous-Time Markov Jump Linear Systems with no Observation of the Markov Chain

We consider in this paper the optimal stationary dynamic linear filtering problem for continuous-time linear systems subject to Markovian jumps in the parameters (LSMJP) and additive noise (Wiener process). It is assumed that only an output of the system is available and therefore the values of the jump parameter are not accessible. It is a well known fact that in this setting the optimal nonlinear filter is infinite dimensional, which makes the linear filtering a natural numerically, treatable choice. The goal is to design a dynamic linear filter such that the closed loop system is mean square stable and minimizes the stationary expected value of the mean square estimation error. It is shown that an explicit analytical solution to this optimal filtering problem is obtained from the stationary solution associated to a certain Riccati equation. It is also shown that the problem can be formulated using a linear matrix inequalities (LMI) approach, which can be extended to consider convex polytopic uncertainties on the parameters of the possible modes of operation of the system and on the transition rate matrix of the Markov process. As far as the authors are aware of this is the first time that this stationary filtering problem (exact and robust versions) for LSMJP with no knowledge of the Markov jump parameters is considered in the literature. Finally, we illustrate the results with an example.

Linear minimum mean square filter for discrete-time linear systems with Markov jumps and multiplicative noises

In this paper we obtain the linear minimum mean square estimator (LMMSE) for discrete-time linear systems subject to state and measurement multiplicative noises and Markov jumps on the parameters. It is assumed that the Markov chain is not available. By using geometric arguments we obtain a Kalman type filter conveniently implementable in a recurrence form. The stationary case is also studied and a proof for the convergence of the error covariance matrix of the LMMSE to a stationary value under the assumption of mean square stability of the system and ergodicity of the associated Markov chain is obtained. It is shown that there exists a unique positive semi-definite solution for the stationary Riccati-like filter equation and, moreover, this solution is the limit of the error covariance matrix of the LMMSE. The advantage of this scheme is that it is very easy to implement and all calculations can be performed offline. (c) 2011 Elsevier Ltd. All rights reserved.

Time stability of soil water storage measured by neutron probe and the effects of calibration procedures in a small watershed

The knowledge of soil water storage (SWS) of soil profiles is crucial for the adoption of vegetation restoration practices. With the aim of identifying representative sites to obtain the mean SWS of a watershed, a time stability analysis of neutron probe evaluations of SWS was performed by the means of relative differences and Spearman rank correlation coefficients. At the same time, the effects of different neutron probe calibration procedures were explored on time stability analysis. mean SWS estimation. and preservation of the spatial variability of SWS. The selected watershed, with deep gullies and undulating slopes which cover an area of 20 ha, is characterized by an Ust-Sandiic Entisol and an Aeolian sandy soil. The dominant vegetation species are bunge needlegrass (Stipa bungeana Trim) and korshinsk peashrub (Carugano Korshinskii kom.). From June 11, 2007 to July 23,2008, SWS of the top1 m soil layer was evaluated for 20 dates, based on neutron probe data of 12 sampling sites. Three calibration procedures were employed: type 1, most complete, with each site having its own linear calibration equation (TrE); type II. with TrE equations extended over the whole field: and type III, with one single linear calibration curve for the whole field (UnE) and also correcting its intercept based on site specific relative difference analysis (RdE) and on linear fitting of data (RcE), both maintaining the same slope. A strong time stability of SWS estimated by TrE equations was identified. Soil particle size and soil organic matter content were recognized as the influencing factors for spatial variability of SWS. Land use influenced neither the spatial variability nor the time stability of SWS. Time stability analysis identified one site to represent the mean SWS of the whole watershed with mean absolute percentage errors of less than 10%, therefore. this site can be used as a predictor for the mean SWS of the watershed. Some equations of type II were found to be unsatisfactory to yield reliable mean SWS values or in preserving the associated soil spatial variability. Hence, it is recommended to be cautious in extending calibration equations to other sites since they might not consider the field variability. For the equations with corrected intercept (type III), which consider the spatial variability of calibration in a different way in relation to TrE, it was found that they can yield satisfactory means and standard deviation of SWS, except for the RdE equations, which largely leveled off the SWS values in the watershed. Correlation analysis showed that the neutron probe calibration was linked to soil bulk density and to organic matter content. Therefore, spatial variability of soil properties should be taken into account during the process of neutron probe calibration. This study provides useful information on the mean SWS observation with a time stable site and on distinct neutron probe calibration procedures, and it should be extended to soil water management studies with neutron probes, e.g., the process of vegetation restoration in wider area and soil types of the Loess Plateau in China. (C) 2009 Elsevier B.V. All rights reserved.

Sudden onset of log-periodicity and superdiffusion in non-Markovian random walks with amnestically induced persistence: exact results

Random walks can undergo transitions from normal diffusion to anomalous diffusion as some relevant parameter varies, for instance the L,vy index in L,vy flights. Here we derive the Fokker-Planck equation for a two-parameter family of non-Markovian random walks with amnestically induced persistence. We investigate two distinct transitions: one order parameter quantifies log-periodicity and discrete scale invariance in the first moment of the propagator, whereas the second order parameter, known as the Hurst exponent, describes the growth of the second moment. We report numerical and analytical results for six critical exponents, which together completely characterize the properties of the transitions. We find that the critical exponents related to the diffusion-superdiffusion transition are identical in the positive feedback and negative feedback branches of the critical line, even though the former leads to classical superdiffusion whereas the latter gives rise to log-periodic superdiffusion.

Evaluating the efficiency of fractional integration parameter estimators

This article deals with the efficiency of fractional integration parameter estimators. This study was based on Monte Carlo experiments involving simulated stochastic processes with integration orders in the range]-1,1[. The evaluated estimation methods were classified into two groups: heuristics and semiparametric/maximum likelihood (ML). The study revealed that the comparative efficiency of the estimators, measured by the lesser mean squared error, depends on the stationary/non-stationary and persistency/anti-persistency conditions of the series. The ML estimator was shown to be superior for stationary persistent processes; the wavelet spectrum-based estimators were better for non-stationary mean reversible and invertible anti-persistent processes; the weighted periodogram-based estimator was shown to be superior for non-invertible anti-persistent processes.

Self-assembled films from WO(3): Electrochromism and lithium ion diffusion

WO(3)/chitosan and WO(3)/chitosan/poly(ethylene oxide) (PEO) films were prepared by the layer-by-layer method. The presence of chitosan enabled PEO to be carried into the self-assembled structure, contributing to an increase in the Li(+) diffusion rate. On the basis of the galvanostatic intermittent titration technique (GITT) and the quadratic logistic equation (QLE), a spectroelectrochemical method was used for determination of the ""optical"" diffusion coefficient (D(op)), enabling analysis of the Li(+) diffusion rate and, consequently, the coloration front rate in these host matrices. The D(op) values within the WO(3)/chitosan/PEO film were significantly higher than those within the WO(3)/chitosan film, mainly for higher values of injected charge. The presence of PEO also ensured larger accessibility to the electroactive sites, in accordance with the method employed here. Hence, this spectroelectrochemical method allowed us to separate the contribution of the diffusion process from the number of accessible electroactive sites in the materials, thereby aiding a better understanding of the useful electrochemical and electrochromic properties of these films for use in electrochromic devices. (C) 2010 Elsevier B.V. All rights reserved.

Elevated left and reduced right orbitomedial prefrontal fractional anisotropy in adults with bipolar disorder revealed by tract-based spatial statistics

Context Diffusion tensor imaging (DTI) studies in adults with bipolar disorder (BD) indicate altered white matter (WM) in the orbitomedial prefrontal cortex (OMPFC), potentially underlying abnormal prefrontal corticolimbic connectivity and mood dysregulatioin in BD. Objective: To use tract-based spatial statistics (TBSS) to examine VVM skeleton (ie, the most compact whole-brain WM) in subjects with BD vs healthy control subjects. Design: Cross-sectional, case-control, whole-brain DTI using TBSS. Setting: University research institute. Participants: Fifty-six individuals, 31 having a DSM-IV diagnosis of BD type 1 (mean age, 35.9 years [age range, 24-52 years]) and 25 controls (mean age, 29.5 years [age range, 19-52 years]). Main Outcome Measures: Fractional anisotropy (FA) longitudinal and radial diffusivities in subjects with BD vs controls (covarying for age) and their relationships with clinical and demographic variables. Results: Subjects with BD vs controls had significantly greater FA (t > 3.0, P <=.05 corrected) in the left uncinate fasciculus (reduced radial diffusivity distally and increased longitudinal diffusivity centrally), left optic radiation (increased longitudinal diffusivity), and right anterothalamic radiation (no significant diffusivity change). Subjects with BD vs controls had significantly reduced FA (t > 3.0, P <=.05 corrected) in the right uncinate fasciculus (greater radial diffusivity). Among subjects with BD, significant negative correlations (P <.01) were found between age and FA in bilateral uncinate fasciculi and in the right anterothalamic radiation, as well as between medication load and FA in the left optic radiation. Decreased FA (P <.01) was observed in the left optic radiation and in the right anterothalamic radiation among subjects with BD taking vs those not taking mood stabilizers, as well as in the left optic radiation among depressed vs remitted subjects with BD. Subjects having BD with vs without lifetime alcohol or other drug abuse had significantly decreased FA in the left uncinate fasciculus. Conclusions: To our knowledge, this is the first study to use TBSS to examine WM in subjects with BD. Subjects with BD vs controls showed greater WM FA in the left OMPFC that diminished with age and with alcohol or other drug abuse, as well as reduced WM FA in the right OMPFC. Mood stabilizers and depressed episode reduced WM FA in left-sided sensory visual processing regions among subjects with BD. Abnormal right vs left asymmetry in FA in OMPFC WM among subjects with BD, likely reflecting increased proportions of left-sided longitudinally aligned and right-sided obliquely aligned myelinated fibers, may represent a biologic mechanism for mood dysregulation in BD.

Evaluation of the buccal vestibule-palatal diffusion of 4% articaine hydrochloride in impacted maxillary third molar extractions

Aims: The aim of this study was to evaluate the vestibular-palatal diffusion of 4% articaine with epinephrine 1: 100,000 and 1: 200,000, in impacted maxillary third molar extractions, without palatal injection. Materials and Method: Two hundred teeth were selected from patients age 15 to 46. Patients were divided into 4 groups: 1A, were anesthetized with 4% articaine 1: 100,000 and the surgery was initiated 5 minutes following anesthesia. 1B, used 4% articaine 1: 100,000 but the surgery was started 10 minutes after anesthesia. 2A, used 4% articaine 1: 200,000 the surgery was started 5 minutes after. 2B, used 4% articaine 1: 200,000 but 10 minutes was allowed for anesthetic diffusion before the initiation of in groups (50 extractions each) only buccal vestibule anesthesia was initially administered (i.e. no palatal injections were used). Results: The rate of sufficient vestibule-palatal diffusion, as determined by the lack of necessity of supplemental palatal anesthesia, was: 1A(84%), 1B(98%), 2A(78%), 2B(82%). Chi-square (X2) and residual analyses showed that a higher vestibule-palatal diffusion was obtained using 4% articaine 1: 100,000 with a period of 10 minutes (p<0.05). Conclusions: Most of the extractions could be performed only with vestibule anesthesia. However, vasoconstrictor concentration and the time interval between administration of the anesthetic and initiation of surgery did influence buccal vestibule-palatal diffusion of 4% articaine in the extraction models used.

DIFFUSION OF MAGNETIC FIELD AND REMOVAL OF MAGNETIC FLUX FROM CLOUDS VIA TURBULENT RECONNECTION

The diffusion of astrophysical magnetic fields in conducting fluids in the presence of turbulence depends on whether magnetic fields can change their topology via reconnection in highly conducting media. Recent progress in understanding fast magnetic reconnection in the presence of turbulence reassures that the magnetic field behavior in computer simulations and turbulent astrophysical environments is similar, as far as magnetic reconnection is concerned. This makes it meaningful to perform MHD simulations of turbulent flows in order to understand the diffusion of magnetic field in astrophysical environments. Our studies of magnetic field diffusion in turbulent medium reveal interesting new phenomena. First of all, our three-dimensional MHD simulations initiated with anti-correlating magnetic field and gaseous density exhibit at later times a de-correlation of the magnetic field and density, which corresponds well to the observations of the interstellar media. While earlier studies stressed the role of either ambipolar diffusion or time-dependent turbulent fluctuations for de-correlating magnetic field and density, we get the effect of permanent de-correlation with one fluid code, i.e., without invoking ambipolar diffusion. In addition, in the presence of gravity and turbulence, our three-dimensional simulations show the decrease of the magnetic flux-to-mass ratio as the gaseous density at the center of the gravitational potential increases. We observe this effect both in the situations when we start with equilibrium distributions of gas and magnetic field and when we follow the evolution of collapsing dynamically unstable configurations. Thus, the process of turbulent magnetic field removal should be applicable both to quasi-static subcritical molecular clouds and cores and violently collapsing supercritical entities. The increase of the gravitational potential as well as the magnetization of the gas increases the segregation of the mass and magnetic flux in the saturated final state of the simulations, supporting the notion that the reconnection-enabled diffusivity relaxes the magnetic field + gas system in the gravitational field to its minimal energy state. This effect is expected to play an important role in star formation, from its initial stages of concentrating interstellar gas to the final stages of the accretion to the forming protostar. In addition, we benchmark our codes by studying the heat transfer in magnetized compressible fluids and confirm the high rates of turbulent advection of heat obtained in an earlier study.

Heat Conduction Equation Solution in the Presence of a Change of State in a Bounded Axisymmetric Cylindrical Domain

The heat conduction problem, in the presence of a change of state, was solved for the case of an indefinitely long cylindrical layer cavity. As boundary conditions, it is imposed that the internal surface of the cavity is maintained below the fusion temperature of the infilling substance and the external surface is kept above it. The solution, obtained in nondimensional variables, consists in two closed form heat conduction equation solutions for the solidified and liquid regions, which formally depend of the, at first, unknown position of the phase change front. The energy balance through the phase change front furnishes the equation for time dependence of the front position, which is numerically solved. Substitution of the front position for a particular instant in the heat conduction equation solutions gives the temperature distribution inside the cavity at that moment. The solution is illustrated with numerical examples. [DOI: 10.1115/1.4003542]

The Diffusion Kernel Filter

A particle filter method is presented for the discrete-time filtering problem with nonlinear ItA ` stochastic ordinary differential equations (SODE) with additive noise supposed to be analytically integrable as a function of the underlying vector-Wiener process and time. The Diffusion Kernel Filter is arrived at by a parametrization of small noise-driven state fluctuations within branches of prediction and a local use of this parametrization in the Bootstrap Filter. The method applies for small noise and short prediction steps. With explicit numerical integrators, the operations count in the Diffusion Kernel Filter is shown to be smaller than in the Bootstrap Filter whenever the initial state for the prediction step has sufficiently few moments. The established parametrization is a dual-formula for the analysis of sensitivity to gaussian-initial perturbations and the analysis of sensitivity to noise-perturbations, in deterministic models, showing in particular how the stability of a deterministic dynamics is modeled by noise on short times and how the diffusion matrix of an SODE should be modeled (i.e. defined) for a gaussian-initial deterministic problem to be cast into an SODE problem. From it, a novel definition of prediction may be proposed that coincides with the deterministic path within the branch of prediction whose information entropy at the end of the prediction step is closest to the average information entropy over all branches. Tests are made with the Lorenz-63 equations, showing good results both for the filter and the definition of prediction.